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How are returns computed?

Open mtomic-quant opened this issue 7 months ago • 1 comments

In docs you state that the returns are computed as change between the next day and current day, i.e. r_t = p_{t+1} / p_{t} - 1 but in the examples you use Panda's pct_change() which is the difference between current and previous day. I assume just doing pct_change() on prices is the correct way?

Thanks

mtomic-quant avatar Jul 10 '24 09:07 mtomic-quant